Th, 13.12.2001
--------------
Tomorrow's seminar will consist of two parts, each 45 minutes:
* we will continue our seminar on "Optima and Equilibria" by doing some
exercises
* Eva Strasser will speak about "Working Paper: On A Question Raised By
Schachermayer".
For further details, including abstracts see
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Prof. Karatzas (Columbia) will give a public lecture on on Dec 17 (Monday)
at the Institute for Advanced Studies, Vienna from 4 - 5:30 p.m. HS. 2
"Probabilistic Aspects of Portfolio Analysis"
Abstract
We formulate and discuss notions such as growth rate, diversity, and
arbitrage, that arise naturally in the study and analysis of portfolios.
Relations among these notions are discussed, including examples of diverse
markets that lead to arbitrage opportunities; some optimization problems are
posed and solved; and a couple of open questions are suggested. (Joint work
with Robert Fernholz.)
Tu, 4.12.2001
--------------
Rainer Münz, to be announced
Th, 6.12.2001
--------------
Uli Haboeck, Subdifferentials of Convex Functions,
our seminar on "Optima and Equilibira" continues
For further details, including abstracts see
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
---------- Forwarded message ----------
Date: Wed, 28 Nov 2001 13:08:41 +0100
From: Uwe Schmock <schmock(a)math.ethz.ch>
Talks:
------
(Please see http://www.math.ethz.ch/finance/talks.html for links)
(a) Thursday, November 29, 2001, 15.15 h (ETHZ, HG E42)
Dr. Thorsten Rheinländer (Department of Mathematics, ETH Zürich)
"A martingale duality approach to stochastic volatility models"
Abstract: We discuss the valuation of derivatives in a general
stochastic volatility context. The fact that the volatility typically
is unbounded already rules out several well known approaches to
valuation in incomplete markets. It turns out that it is still
possible to follow a minimal entropy approach. We determine
explicitly the resulting pricing measure for some classical
stochastic volatility models and provide general verification results.
(Seminar on Financial and Insurance Mathematics)
(b) Wednesday, December 5, 2001, 20.00 h
(Restaurant Au Premier, Zürich Main Station)
Jean-Luc Vuarnoz (Swiss Life)
"Underwriting und Antiselektion in der Personenversicherung"
Abstract: Anhand zahlreicher Beispiele aus der Praxis wird die
Antiselektion illustriert. Die Zusammenhänge zwischen Antiselektion
und Produktdesign einerseits und Risikoprüfung andererseits werden
verdeutlicht. Kommende Herausforderungen im Gebiet Risikoprüfung,
z.B. Internet-Verkauf und Gentests, werden kurz diskutiert.
(Colloquium of Actuaries)
(c) Thursday, December 6, 2001, 17.15 h (ETHZ, G 26.5)
Prof. Christophe Stricker (Université de Franche-Comté, Besançon)
"The fundamental theorem of asset pricing under proportional transaction costs"
Abstract: We consider a multi-asset discrete-time model of a
financial market with proportional transaction costs and efficient
friction and prove necessary and sufficient conditions for the
absence of arbitrage. Our main result is an extension of the
Dalang-Morton-Willinger theorem. As an application, we establish a
hedging theorem giving a description of the set of initial endowments
which allow to super-replicate a given contingent claim.
(Seminar on Financial and Insurance Mathematics)
Two talks in the Seminar for Stochastic Processes:
--------------------------------------------------
(see http://www.math.ethz.ch/finance/SSP.html for abstracts & links)
(a) Wednesday, Dec. 5, 16:15 - 17:00 (ETHZ, HG D 1.2)
Gesine Reinert (Oxford)
"Stein's method for the bootstrap"
(b) Wednesday, Dec. 5, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
Michel Emery (Université de Strasbourg)
"On normal martingales and their chaotic representation"
RiskLab Papers and Reports:
---------------------------
(a) Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich)
and Pierre Patie (RiskLab)
"Risk Management for Derivatives in Illiquid Markets: A Simulation Study"
(http://www.risklab.ch/Papers.html#IlliquidMarkets)
(b) Dr. Maria Kafetzaki Boulamatsis and Dr. Dirk Tasche (RiskLab)
"Combined Market and Credit Risk Stress Testing based on the Merton Model"
(http://www.risklab.ch/Papers.html#CMCRST)
(c) Enrico De Giorgi (RiskLab)
"An Intensity Based Non-Parametric Default Model for Residential
Mortgage Portfolios"
(http://www.risklab.ch/Papers.html#RMSRMMLP)
With best regards,
Uwe Schmock
Home Page: http://www.math.ethz.ch/~schmock/
Financial and Insurance Mathematics at ETHZ: http://www.math.ethz.ch/finance/
RiskLab: http://www.risklab.ch/
---------- Forwarded message ----------
Dear Colleague,
Please circulate the following announcement (we are sorry for possible
multiple posting!)
Also, attached is a conference poster. We would be very grateful if you
could display it in your institution!
CALL FOR PAPERS:
28th Conference on Stochastic Processes and their Applications
1-5 July 2002
Melbourne, Australia
The conference will provide an international forum for the presentation
and discussion of new results in the area of the theory and applications
of stochastic processes.
*PROGRAMME:
The themes of the conference include: stochastic analysis, discrete random
processes and randomised algorithms, topics in limit theorems, Markov
chain Monte Carlo, Markov processes, random processes in random
environments, point processes, as well as application areas such
as: stochastic processes in finance and insurance, stochastic processes in
physics, applications to telecommunications, time series, modelling in
biology and medicine.
The Scientific Advisory Committee of the conference comprises S. Asmussen,
P.J. Brockwell, L.H.Y. Chen, F. Den Hollander, C.C. Heyde, G.R. Grimmett,
I.A. Ibragimov and O. Zeitouni.
The program consists of fifty-minute lectures delivered by invited
speakers and twenty-minute contributed talks by participants on various
topics related to stochastic processes and their applications.
The list of confirmed invited speakers to date includes: I. S. Borisov
(Novosibirsk), P. Del Moral (Toulouse), P. Embrechts (Zurich),
O. Haggstrom (Goteborg), K. Johansson (Stockholm), Zhi-Ming Ma (Beijing),
M. Neuts (Tuscon), T. Ozaki (Tokyo), P. Protter (Cornell) and D. Siegmund
(Stanford).
The conference language is English.
The registration form, abstract template and accommodation details can be
downloaded from the Conference website at
http://www.spa28.ms.unimelb.edu.au/
Please complete the form and return with payment or credit card details by
mail or fax to the conference address (see below).
*ABSTRACTS:
Those wishing to present a paper at the conference should submit an
abstract using our LaTeX template. This template can be downloaded from
the conference website. Please ensure that the printed output of your
abstract fits into one page. Please e-mail your LaTeX source file to
spa(a)ms.unimelb.edu.au
and if ready, also send a printed copy of your abstract with your
registration form.
The DEADLINE for submission of abstracts is 3 May 2002.
*LOCATION:
Melbourne is a city of over 3 million people and has been judged to be one
of the most liveable cities in the world. The conference will be held at
the University of Melbourne (www.unimelb.edu.au) which is in the
cosmopolitan Carlton, close to the centre of the city. Some links to sites
with Melbourne tourist information can be found in the Local Information
section of the conference website.
*COSTS:
The registration fee is AU$400 for academics (AU$ 450 after 3 May 2002),
and AU$200 for students (AU$1=US$0.5 approx. in November 2001).
Budget accommodation (details are on the website) is available at AU$55
per night. Hotel accommodation is available in the range from AU$110 to
AU$170.
Please note that in 2001 it was possible to buy return airtickets from
Europe and/or North America to Melbourne for about US$1,000. Further
information will be provided on request.
* TOURS:
Apart from its scientific merits, participating in the conference is an
excellent opportunity to visit Australia, one of the most beautiful and
interesting countries in the world. Several excursions are being organized
for the conference participants. Also feel free to make your own
arrangements to visit the Great Barrier Reef and other fantastic places in
Australia during your visit.
Looking froward to hearing from you,
Tim Brown, Chairman, Organizing Committee,
Kostya Borovkov, Sci. Secretary
Postal address:
SPA28: Bronwen Hewitt,
Conference Management,
Old Physics Building,
The University of Melbourne,
VIC 3010,
Australia
Fax: (+61-3) 8344 6122, tph: (+61-3) 8344 6389
E-mail: bhewitt(a)unimelb.edu.au
URL: http://www.spa28.ms.unimelb.edu.au
This THURSDAY we will NOT have our usual seminar on "Optima and
Equilibria". Instead we will have a talk by Sasha Gorbulsky, find
the details below.
Tu, 27.11.2001
--------------
Josef Teichmann, Filtering Problems from the geometric point of view
Th, 29.11.2001
--------------
Sasha Gorbulsky, Some entropy type invariants of decreasig sequences of
measurable partitions
For further details, including abstracts see
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Tu, 27.11.2001
--------------
Josef Teichmann, Filtering Problems from the geometric point of view
Th, 22.11.2001
--------------
Uli Haboeck, Subdifferentials of Convex Functions,
our seminar on "Optima and Equilibira" continues
For further details, including abstracts see
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
---------- Forwarded message ----------
Date: Wed, 21 Nov 2001 09:42:53 +0100
From: Peter Imkeller <imkeller(a)mathematik.hu-berlin.de>
Subject: magdeburger stochastik-tage 2002
Dear colleagues,
as you might have heard, the Fachgruppe Stochastik organizes its 5th
bi-annual meeting "Stochastik-Tage" from
Warch 19 to 22, 2002, in Magdeburg.
I am co-organizer of the section on "Stochastic Analysis", for which
Wendelin Werner (Paris) will be a main speaker. The last meeting in Hamburg
has been quite a success, and I think the organizers in Magdeburg will do
their best to follow in Hamburg's footsteps. Usually, the "Stochastik-Tage"
give a forum especially to younger probabilists, in particular PhD students
and postdocs to present their work and get to know the non-local
stochastics community. I would like to ask you to spread this message among
your students and co-workers, ask them to come to Magdeburg, and not to
hesitate to announce a talk. There is still ample space in the section on
stochastic analysis, and I would be happy to welcome as many of you and
your students as possible. Of course, there is also another reason to wish
that a big number of you be present: elections for the Vorstand der
Fachgruppe will be held in Magdeburg. And it would be good to be well
represented in this directing committee!
For more information on the meeting, please consult the web site
http://www.math.uni-magdeburg.de/stoch2002/f_second_en.html
where you will also see that the deadline for applications is end of January.
Looking forward to seeing you in Magdeburg
Peter Imkeller.
Prof. Dr. Peter Imkeller
Institut fuer Mathematik
Humboldt-Universitaet zu Berlin
Unter den Linden 6
10099 Berlin
Germany
email: imkeller(a)mathematik.hu-berlin.de
URL: http://wws.mathematik.hu-berlin.de/~imkeller
phone: ++49-30-2093 5850
fax: ++49-30-2093 5848